Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0128
Annualized Std Dev 0.1884
Annualized Sharpe (Rf=0%) 0.0678

Row

Daily Return Statistics

Close
Observations 5576.0000
NAs 1.0000
Minimum -0.1791
Quartile 1 -0.0042
Median 0.0004
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0052
Maximum 0.1504
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0119
Skewness -1.7980
Kurtosis 34.8800

Downside Risk

Close
Semi Deviation 0.0091
Gain Deviation 0.0081
Loss Deviation 0.0111
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0090
Downside Deviation (0%) 0.0090
Maximum Drawdown 0.6221
Historical VaR (95%) -0.0160
Historical ES (95%) -0.0292
Modified VaR (95%) -0.0164
Modified ES (95%) -0.0164
From Trough To Depth Length To Trough Recovery
2000-09-08 2008-10-10 2019-09-12 -0.6221 4773 2025 2748
2020-02-13 2020-03-18 2020-11-16 -0.4320 193 24 169
2021-02-16 2021-03-08 NA -0.1954 25 15 NA
1999-07-20 1999-12-17 2000-09-01 -0.1671 283 106 177
2020-11-24 2020-11-30 2020-12-18 -0.0930 18 4 14

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.4 0.3 -0.8 -1.4 0 0.8 1.1 -0.3 -1.4 -0.6 0.9 0.3 0.3
2000 0.3 0 2.6 0 1.5 -0.6 0.3 1.8 0.8 0.3 -3.3 1.7 5.4
2001 0 -0.2 4.7 0.7 0 2 1.4 -0.7 -0.3 0 1.8 1.2 11.1
2002 0 0.5 0 0.3 -0.3 -1.2 0.6 0.3 -1.7 -0.1 -1 -1.3 -3.8
2003 -0.6 0.1 0.8 0 0.1 -1.2 -1.7 -0.1 -0.1 0.3 0 -0.3 -2.7
2004 1.1 0.5 0.4 -0.8 -0.9 0.5 -0.4 0 -0.5 0.4 -0.8 2 1.4
2005 -0.3 0.2 0.5 -0.5 0.2 0.3 0.8 0.4 0.1 -0.1 0.6 0.1 2.3
2006 0.1 0.5 0.2 0.2 0.4 0.3 0.1 0.9 0.1 0 0.1 -0.2 2.7
2007 0.3 -0.1 0.3 -0.1 0.5 0.2 -0.9 0.7 1.3 0.6 1 0.2 3.8
2008 0.2 -1.6 0 0.2 -0.2 -1.5 0.1 -0.2 2.3 2.5 -1 -0.1 0.5
2009 -0.9 -1.3 2.7 3 0.8 2.2 0.6 -1.5 -1.5 -1.8 0.6 -0.9 1.9
2010 0.7 1.3 1.1 -0.7 -0.7 -1.6 -0.1 1.1 0.7 0.5 1.1 0.4 3.9
2011 2.1 -0.3 0.6 0.2 -0.4 1 0.1 -0.1 -2.6 -1.3 1.4 -0.3 0.2
2012 0.5 0.4 0.1 0.6 -1.9 0.6 0 0.1 -0.1 0.7 0 0.4 1.3
2013 0.5 -0.1 -0.3 -0.2 -0.5 -0.1 0.6 0.4 0.5 0.1 0.1 0.9 1.9
2014 0.1 0.2 0.4 0.8 0 0.5 -0.4 0 -1.3 1 -1.1 0.1 0.3
2015 -0.3 0 -0.5 -1 0.2 0.4 2.3 -1.1 -0.8 0.6 0.6 0 0.4
2016 -0.3 1.3 0.1 -1.3 0.1 0.5 -0.5 0.1 1 0.5 -0.8 -0.3 0.4
2017 0.7 -0.4 0 0.3 0.6 0 -0.1 1.7 0 0.2 -1.1 0.2 2
2018 -2.8 -0.5 0.3 0 0.6 -0.5 -0.2 0.4 -0.3 1.4 0.2 2.2 0.6
2019 -1.3 0.2 0.6 0.1 -0.2 1 -0.2 -1.3 -1.2 0.9 -1.1 0.1 -2.4
2020 1.3 -5.7 -7.9 -2.1 1.8 1.6 0.4 0 1.3 -2.4 1.1 1.7 -9.2
2021 0.8 1.5 -0.3 NA NA NA NA NA NA NA NA NA 2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  22.9 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  22.8 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  22.9 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  22.9 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  22.8 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  23   SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart